On overload in a storage model, with a self-similar and infinitely divisible input.

DOI10.1214/105051604000000125MaRDI QIDQ1879893zbMATH OpenOpenAlexFDO

Authors Gennady Samorodnitsky, J. M. Patrik Albin

Publication date 15 September 2004

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0405291

zbMATH Keywords

heavy tailsinfinitely divisible processLévy processself-similar processstable processstationary increment processstorage processsubexponential distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Extreme value theory; extremal stochastic processes (60G70) Inventory, storage, reservoirs (90B05)

Abstract: Let {X(t)}_{tge0} be a locally bounded and infinitely divisible stochastic process, with no Gaussian component, that is self-similar with index H>0. Pick constants gamma >H and c>0. Let

u be the L'evy measure on R^{[0,infty)} of X, and suppose that R(u)equiv

u({yinR^{[0,infty)}:suptge 0y(t)/(1+ct^{gamma})>u}) is suitably ``heavy tailed as u oinfty (e.g., subexponential with positive decrease). For the ``storage process Y(t)equiv sup_{sge t}(X(s)-X(t)-c(s-t)^{gamma}), we show that P{sup_{sin[0,t(u)]}Y(s)>u}sim P{Y(hat t(u))>u} as u oinfty, when 0le hat t(u)le t(u) do not grow too fast with u [e.g., t(u)=o(u^{1/gamma})].

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Cited in

(8)

• Maximum of a partial sample in the uniform AR(1) processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Extremes of stationary Gaussian storage models
• scientific article; zbMATH DE number 2159345 (Why is no real title available?)
• On moments and tail behaviors of storage processes
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of reflecting Gaussian processes on discrete grid
• On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences

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